| Model: | Ratio |
| Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
| FAZ | Direxion Daily Financial Bear 3X Shares | 0.0105 | 44.02 | 2415753 | |||
| VXX | iPath® Series B S&P 500® VIX Short-Term Futures ETN | 34.89 | 7078605 |
| Entry Threshold: | 2.00 | Exit Threshold: | 0.00 | ||
| Max Duration: | 20 | Entry Mode: | Uptick | Reversals: | |
| MA Period: | 15 | MA Type: | EMA | StdDev Period: | 15 |
| Version: | 3 | Model Version: | n/a | Bid-Ask 0.00 / 0.00 | |
| Initial Capital: | 10000.00 | Final Equity: | 32232.91 |
| Total net P/L: | 22232.91 | Total ROI: | 222.33 % |
| CAGR: | 38.76 % | Max. DD: | 40.27 % |
| MAPY: | -9.88 % | ||
| Start Date: | 2010-01-04 | End Date: | 2013-07-31 |
| Total days: | 1304 | Leverage: | 1:2 |
| Commissions: | 519.15 | Comm.% P/L | 2.28 % |
| Total Transactions: | 208 | Log. Linearity: | 70.876 % |
| Total | Long |
Short |
FAZ | VXX | |
|---|---|---|---|---|---|
| Total Profit/Loss | 22752.06 | 24711.87 | -1959.81 | 56466.17 | -33714.11 |
| Total Profit | 74477.07 | 46671.84 | 27805.23 | 104106.93 | 42357.76 |
| Total Loss | 51725.01 | 21959.97 | 29765.04 | 47640.76 | 76071.87 |
| Profit Factor | 1.44 | 2.13 | 0.93 | 2.19 | 0.56 |
| Trades | 52 | 20 | 32 | 52 | 52 |
| Winning Trades | 32 | 13 | 19 | 29 | 19 |
| Losing Trades | 20 | 7 | 13 | 23 | 33 |
| % Profitable | 61.00 | 65.00 | 59.00 | 55.00 | 36.00 |
| Profit/Loss Per Trade % | 2.32 | 7.08 | -0.55 | 5.02 | -3.89 |
| Profit Per Trade % | 10.36 | 18.35 | 5.21 | 16.65 | 8.39 |
| Loss Per Trade % | 8.99 | 10.44 | 8.22 | 7.56 | 9.61 |
| Days In Trade | 696 | 271 | 425 | 696 | 696 |
| Days In Trade (Avg. Per Trade) | 13.38 | 13.55 | 13.28 | 13.38 | 13.38 |
| % Days In Trade | 53.37 | 20.78 | 32.59 | 53.37 | 53.37 |